Azu, the European indoor champion in Apeldoorn last month, stormed off the blocks and crossed the line in a time of 6.53s with Julian Forde of Barbados qualifying 0.04s behind.
None of the men's 60m finalists from Glasgow are competing in China this year - including US stars Noah Lyles and Chris Coleman - but Azu laid a marker with a run that was just one hundredths of a second off his personal best.
"It was good. I got out well, maintained it, eased through the line, yeah I am feeling good," he said.
The 23-year-old is aiming to become the first Briton to win a 60m indoor title since Richard Kilty in 2014.
However there was bitter disappointment for Andrew Robertson who pulled up in the opening heat and was taken away in a wheelchair.
The 34-year-old won bronze in the European championships last month and hopes were high of a top-eight finish in Nanjing.
But his world title hopes came crashing down as he suffered a groin injury mid-race and collapsed to the floor in agony.
"My groin went," he explained. "I didn’t feel anything at warm up, I felt good and I felt confident. First few steps out of the blocks felt fine and then when I went to go again something just 'went' and I thought I could get through it. But it happened so fast, just too much pain."
Diaz strikes first gold in Nanjing
While Azu and Robertson were warming up, Italy's Cuban-born Andy Diaz Hernandez stunned defending champion Hugues Fabrice Zango of Burkina Faso to win the first gold medal of the championships.
The recently crowned European triple jump champion screamed in delight and threw sand in the air after winning his maiden world title with a national record and world leading 17.80m on his first leap in the Nanjing Cube.
The 29-year-old bronze medallist at Paris 2024 had only once leapt further, recording 17.75m in Florence two years ago.
Home favourite Zhu Yaming delighted the home fans with a leap of 17.33m to clinch silver with Brazilian Almir dos Santos initially awarded third on 17.22m.
Fabrice Zango, who is also the world outdoor champion, finished fourth, but this was later upgraded to bronze after dos Santos was disqualified "for not complying with the shoe rules", a World Athletics statement read.
Sixteen-time German national champion Max Hess could only finish seventh with a final jump of 17.03m.
Elsewhere there was a shock in the men's 400m as Jamaica's Rusheen McDonald failed to make it through the heats.
The bronze medallist in Glasgow was among the favourites to medal in Nanjing but missed the opportunity to capitalise on the absence of Alexander Doom and Karsten Warholm and was sent crashing out.
McDonald made a blistering start but slowed over the final 100m and despite clocking a season best 46.72, the 32-year-old crossed the line third and outside the qualifying times for the two fastest runners-up.
There were no such issues for USA's Christopher Bailey who booked his place in Friday's semi-final with relative ease.
The 4x400m relay Olympic and world champion put in an assured run to clock the fastest time of 45.70 as he targets his first Indoor title.